主题：Double Adjusted Mutual Fund Performance（双调整的共同基金业绩）
主讲人：姜磊，清华大学经济管理德州扑克大小
助理教授
日期：2015年3月18日（周三）
时间：中午 12:30-13:30
地点：德州扑克大小
金融德州扑克大小
1号楼501教师休息室
语言：英文
摘要：
We develop a new approach for estimating mutual fund performance that controls for both factor model betas and stock characteristics in one measure. Our double adjustment procedure shows that fund returns are significantly related to stock characteristics in the cross section after controlling for risk via factor models. Compared to standard mutual fund performance estimates, the new measure substantially affects performance rankings, with a quarter of funds experiencing a change in percentile ranking greater than ten. Double-adjusted fund performance persists a full nine years after the initial ranking period, much longer than standard performance. Moreover, inference based on the new measure often differs, sometimes dramatically, from that based on traditional performance estimates.
主讲人简介：
Dr. Lei Jiang received his PhD in Economics from Emory University. Dr. Jiang's research focuses on empirical asset pricing, mutual funds and stock market microstructure. His research has been published on several international and Chinese journals, such as Journal of Empirical Finance and Journal of Behavioral and Experimental Finance.
